|
|||||
|
|
Trading imbalances and the law of one price |
|
| Authors: | Mark S. Seasholes Clark Liu |
| Affiliation: | |
| Abstract: | We study trading and prices of Chinese (mainland)/Hong Kong dual-listed shares. Relative prices can diverge by a factor of two and exhibit significant variation over time. Order imbalances explain contemporaneous changes in relative prices at daily and weekly frequencies. |
| Keywords: | G1 G12 |
| 本文献已被 ScienceDirect 等数据库收录！ | |